Groupe d’études et de recherche en analyse des décisions

G-2018-68

Valuing corporate securities when the firm's assets are illiquid

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We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets is interpreted as an intangible corporate security. To assess our construction, we provide a sensitivity analysis of the values of corporate securities with respect to the illiquidity parameter.

, 16 pages

Ce cahier a été révisé en octobre 2018